Abstract:We study the behaviour of real interest rate gaps -i.e. periods of real interest rates above (below) the natural interest rate -, and link their length with a set of key observable determinants. Using quarterly data for 13 OECD countries over (close to) the last sixty years, we find that global risk-taking, CPI inflation, (un)conventional monetary policy, and income redistribution crucially shape the duration of both events. However, while labour-related supply-side factors appear to affect the length of posit… Show more
“…costpush shocks). Finally, Agnello et al (2022) use a duration model to assess the drivers of real interest rate gaps, -i.e. periods of real interest rates above (below) the natural interest rate -for a sample of OECD countries.…”
“…costpush shocks). Finally, Agnello et al (2022) use a duration model to assess the drivers of real interest rate gaps, -i.e. periods of real interest rates above (below) the natural interest rate -for a sample of OECD countries.…”
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